Finite time ruin problems for the Erlang(2) risk model

We consider the Erlang(2) risk model and derive expressions for the density of the time to ruin and the joint density of the time to ruin and the deficit at ruin when the individual claim amount distribution is (i) an exponential distribution and (ii) an Erlang(2) distribution. We also consider the special case when the initial surplus is zero.

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Year of publication:	2010
Authors:	Dickson, David C.M. ; Li, Shuanming
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 46.2010, 1, p. 12-18
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008507375